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  • 标题:DETERMINANTS OF COMMON FACTORS IN KOREAN BANKS’ CREDIT DEFAULT SWAP PREMIUMS
  • 本地全文:下载
  • 作者:Lee, Seungjun ; Koo, Jaewoon ; Kwak, Youngsik
  • 期刊名称:American Journal of Economics and Business Administration
  • 印刷版ISSN:1945-5488
  • 电子版ISSN:1945-5496
  • 出版年度:2014
  • 卷号:6
  • 期号:3
  • 页码:100-108
  • DOI:10.3844/ajebasp.2014.100.108
  • 出版社:Science Publications
  • 摘要:Using the panel analysis of non-stationarity in idiosycratic and common component method, we decompose Credit Default Swap (CDS) premium data of 11Korean banks into common factors and idiosyncratic shocks. We find that the CDS premium of all 11 banks is mostly explained by one common factor. We also find that the common factor of the banks’ CDS premium is mainly affected by the level and the volatility of stock market prices in developed markets and oil prices. It suggests that the Korean banking industry is susceptible to foreign shocks due to the heavy dependency of the Korean economy on export. We also find that a structural break in the common part of CDS premium occurred in mid-2007, implying that the exposure of credit risk in Korean banks jumped up after the 2007 financial crisis.
  • 关键词:Credit Default Swap Premium; Common Factor; Capital Flows; Credit Risk
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